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on Computational Economics |
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Issue of 2011‒07‒13
fourteen papers chosen by |
| By: | Fazeeda binti Mohamad; Razman bin Mat Tahar; Norhanom binti Awang (Faculty of Technology Management, Universiti Malaysia Pahang) |
| Abstract: | The purpose of this study is to evaluate the current capacity of the palm oil processing mill using simulation. We choose to simulate the current facility in order to analyze the processing operations of the mill and determine the capacity planning measures to be undertaken in the future in meeting the increase volume . The operations including the downtime due to machine breakdown or any mechanical problems will be evaluated. Simulation will be used in identify the key failure of components or machines during operations. It is expected that this simulation will help mill manager to identify how the system would handle future forecast of production with the current capacity and the increase volume in supply of fresh fruit bunches to the mill |
| Keywords: | Capacity, Simulation, Downtime, Supply chain, Palm oil mill |
| JEL: | M00 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:cms:1icm11:2011-028_222&r=cmp |
| By: | Grey Gordon (Department of Economics, University of Pennsylvania) |
| Abstract: | Theoretical formulations of dynamic heterogeneous-agent economiestypically include a distribution as an aggregate state variable. This paperintroduces a method for computing equilibrium of these models by including a distribution directly as a state variable if it is finite-dimensional or a fine approximation of it if infinite-dimensional. The method accurately computes equilibrium in an extreme calibration of Huffman's (1987) overlapping-generations economy where quasi-aggregation, the accurate forecasting of prices using a small state space, fails to obtain. The method also accurately solves for equilibrium in a version of Krusell and Smith's (1998) economy wherein quasi-aggregation obtains but households face occasionally binding constraints. The method is demonstrated to be not only accurate but also feasible with equilibria for both economies being computed in under ten minutes in Matlab. Feasibility is achieved by using Smolyak's (1963) sparse-grid interpolation algorithm to limit the necessary number of gridpoints by many orders of magnitude relative to linear interpolation. Accuracy is achieved by using Smolyak's algorithm, which relies on smoothness, only for representing the distribution and not for other state variables such as individual asset holdings. |
| Keywords: | Numerical Solutions, Heterogeneous Agents, Projection Methods |
| JEL: | C63 C68 E21 |
| Date: | 2011–06–24 |
| URL: | http://d.repec.org/n?u=RePEc:pen:papers:11-018&r=cmp |
| By: | Catalina Granda-Carvajal (University of Connecticut and Universidad de Antioquia) |
| Abstract: | Within the literature on business cycles featuring shadow economic activities, there is an approach based on the arguable premise that fluctuations in the official and unofficial sectors are negatively correlated. The present paper develops a real business cycle model that does not impose such an assumption. To do so, preferences are characterized so that regular and irregular labor are additively separable. Furthermore, leisure time is spent on both irregular work effort and non-market activities. Simulations are conducted to examine the performance of the model economy and to compare the resulting cyclical features with related empirical findings. In addition, computational experiments allow to analyze the effects of different tax structures, enforcement rates and tastes for irregular labor on the volatility and comovements of aggregate variables. These simulations and experiments overall offer a more comprehensive view of the cyclical implications of the shadow economy. |
| Keywords: | Underground economy, shadow economy, business cycles, dynamic stochastic general equilibrium models |
| JEL: | E26 E32 H26 O17 |
| Date: | 2011–07 |
| URL: | http://d.repec.org/n?u=RePEc:uct:uconnp:2011-14&r=cmp |
| By: | Joaquim Bento de Souza Ferreira Filho; Mark Horridge |
| Abstract: | In this paper we analyze the Indirect Land Use Change (ILUC) effects of ethanol production expansion in Brazil through the use of an inter-regional, bottom-up, dynamic general equilibrium model calibrated with the 2005 Brazilian I-O table. A new methodology to deal with ILUC effects is developed, using a transition matrix of land uses calibrated with Agricultural Censuses data. Agriculture and land use are modeled separately in each of 15 Brazilian regions with different agricultural mix. This regional detail captures a good deal of the differences in soil, climate and history that cause particular land to be used for particular purposes. Brazilian land area data distinguish three broad types of agricultural land use, Crop, Pasture, and Plantation Forestry. Between one year and the next the model allows land to move between those categories, or for Unused land to convert to one of these three, driven initially by the transition matrix, changing land supply for agriculture between years. The transition matrix shows Markov probabilities that a particular hectare of land used in one year for some use would be in an other use next period. These probabilities are modified endogenously in the model according to the average unit rentals of each land type in each region. A simulation with ethanol expansion scenario is performed for year 2020, in which land supply is allowed to increase only in states located in the agricultural frontier. Results show that the ILUC effects of ethanol expansion are of the order of 0.14 hectare of new land coming from previously unused land for each new hectare of sugar cane. This value is higher than values found in the Brazilian literature. ILUC effects for pastures are around 0.47. Finally, regional differences in sugarcane productivity are found to be important elements in ILUC effects of sugar cane expansion. |
| Keywords: | CGE, ethanol, biofuels, land use, Brazil |
| JEL: | C68 D58 E47 Q15 Q16 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:cop:wpaper:g-218&r=cmp |
| By: | Emanuele Ciani; Donatella Fresu |
| Abstract: | This paper describes the construction of the initial population in CAPP_DYN and illustrates the degree of representativeness of the Italian population in 2006. While the previous version of the model was constructed using the Bank of Italy Survey on Household Income and Wealth, the current version is based on the new ISTAT Survey on Income and Living Conditions. The first part of the paper discusses the reasons that led us to this switch. It also provides full details on the operations carried out on the original dataset in order to obtain a sample that can be used as the first year population of the Dynamic Simulation Model. In the second part of the paper, the demographic and socio-economic characteristics of the initial population sample are compared with information coming from other sources, such as administrative archives, national accounts and Labour Force Surveys. This exercise is crucial in assessing the capability of CAPP_DYN to represent the population's characteristics at the starting point. |
| Keywords: | Dynamic micro-simulation, model validation, income distribution, pensions and social security |
| JEL: | C63 C81 D31 H55 |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:mod:cappmo:0092&r=cmp |
| By: | K. W. DE BOCK; D. VAN DEN POEL |
| Abstract: | Several studies have demonstrated the superior performance of ensemble classification algorithms, whereby multiple member classifiers are combined into one aggregated and powerful classification model, over single models. In this paper, two rotation-based ensemble classifiers are proposed as modeling techniques for customer churn prediction. In Rotation Forests, feature extraction is applied to feature subsets in order to rotate the input data for training base classifiers, while RotBoost combines Rotation Forest with AdaBoost. In an experimental validation based on data sets from four real-life customer churn prediction projects, Rotation Forest and RotBoost are compared to a set of well-known benchmark classifiers. Moreover, variations of Rotation Forest and RotBoost are compared, implementing three alternative feature extraction algorithms: Principal Component Analysis (PCA), Independent Component Analysis (ICA) and Sparse Random Projections (SRP). The performance of rotation-based ensemble classifier is found to depend upon (i) the performance criterion used to measure classification performance, and (ii) the implemented feature extraction algorithm. In terms of accuracy, RotBoost outperforms Rotation Forest, but none of the considered variations offers a clear advantage over the benchmark algorithms. However, in terms of AUC and top-decile lift, results clearly demonstrate the competitive performance of Rotation Forests compared to the benchmark algorithms. Moreover, ICA3 based Rotation Forests outperform all other considered classifiers and are therefore recommended as a well-suited alternative classification technique for the prediction of customer churn that allows for improved marketing decision making. |
| Keywords: | CRM, database marketing, customer churn prediction, ensemble classification, rotation-based ensemble classifiers, RotBoost, Rotation Forest, ICA, AUC, lift |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:11/717&r=cmp |
| By: | Ketter, W.; Collins, J.; Reddy, P.; Flath, C. |
| Abstract: | This is the specification for the Power Trading Agent Competition for 2011 (Power TAC 2011). Agents are simulations of electrical power brokers, who must compete with each other for both power production and consumption, and manage their portfolios. |
| Keywords: | autonomous agents;electronic commerce;energy;preferences;portfolio management;power;policy guidance;sustainability;trading agent competition |
| Date: | 2011–05–10 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:eureri:1765023263&r=cmp |
| By: | Sebastian Henn (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg); Verena Schmid (Faculty of Business, Economics and Statistics, Universität Wien) |
| Abstract: | Order picking deals with the retrieval of articles from their storage locations in order to satisfy customer requests. A major issue in manual order picking systems concerns of the transformation and consolidation of customer orders into picking orders (order batching). In practice, customer orders have to be completed by certain due dates in order to avoid delay in the shipment to customers or in production. The composition of the picking orders, their processing times and the sequence according to which they are released have a significant impact on whether and to which extent given due dates are violated. This paper presents how metaheuristics can be used in order to minimize the total tardiness for a given set of customer orders. The first heuristic is based on Iterated Local Search, the second one is inspired by the Attribute-Based Hill Climber, a heuristic based on a simple tabu search principle. In a series of extensive numerical experiments, the performance of these metaheuristics is analyzed for different classes of instances. We will show that the proposed methods provide solutions which may allow for operating order picking systems more efficiently. Solutions can be improved by 46% on average, compared to the ones obtained by standard constructive heuristics such as an application of the Earliest Due Date rule. |
| Keywords: | Warehouse Management, Order Batching, Batch Sequencing, Due Dates, Iterated Local Search, Attribute-Based Hill Climber |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:mag:wpaper:110011&r=cmp |
| By: | T. BUYSE; F. HEYLEN; R. VAN DE KERCKHOVE |
| Abstract: | We study the effects of pension reform in a four-period OLG model for an open economy where hours worked by three active generations, education of the young, the retirement decision of older workers, and aggregate per capita growth, are all endogenous. Next to the characteristics of the pension system, our model assigns an important role to the composition of fiscal policy. We find that the model explains the facts remarkably well for many OECD countries.<br> Our simulation results prefer an intelligent pay-as-you-go pension system above a fully-funded private system. When it comes to promoting employment, human capital, growth, and welfare, positive effects in a PAYG system are the strongest when it includes a tight link between individual labor income (and contributions) and the pension, and when it attaches a high weight to labor income earned as an older worker to compute the pension assessment base. |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:11/719&r=cmp |
| By: | Alvaro Escribano (Universidad Carlos III de Madrid); Genaro Sucarrat (BI Norwegian School of Management) |
| Abstract: | General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of multi-path GETS specification search. However, several scholars have argued that the estimation complexity associated with financial models constitutes an obstacle to multi-path GETS modelling in finance. Making use of a recent result on log-GARCH Models, we provide and study simple but general and flexible methods that automate financial multi-path GETS modelling. Starting from a general model where the mean specification can contain autoregressive (AR) terms and explanatory variables, and where the exponential volatility specification can include log-ARCH terms, asymmetry terms, volatility proxies and other explanatory variables, the algorithm we propose returns parsimonious mean and volatility specifications. The finite sample properties of the methods are studied by means of extensive Monte Carlo simulations, and two empirical applications suggest the methods are very useful in practice. |
| Keywords: | general-to-specific; specification search; model selection; finance; volatility |
| JEL: | C32 C51 C52 E44 |
| Date: | 2011–06–23 |
| URL: | http://d.repec.org/n?u=RePEc:imd:wpaper:wp2011-09&r=cmp |
| By: | M. BACHELET (Insee); M. BEFFY (Insee); D. BLANCHET (Insee) |
| Abstract: | A specific attention is devoted to the 55+ age group when building global labour force projections regularly updated by Insee. This requires taking into account individual heterogeneity, because the impact of pension reforms on behavior is potentially very different across individuals. For instance, increasing to 62 the minimum age of eligibility, as decided in 2010, will be neutral for people who already planned to retire after this age. It will be constraining for other people, but the impact on global labour force will depend upon employment status before retirement: postponing pension claiming for individuals who have already left the labour market does not affect this labour force, at least as long as it does not change labour market behavior before retirement age. Simulating individual transitions to retirement raises however considerable problems, to which models only bring imperfect and uncertain answers. This argues in favor of scenarized projections based on alternative assumptions. We present here results based on three options offered by the Destinie 2 microsimulation model. Depending upon these assumptions, cumulated impacts of past reforms on labour force participation rates for the 60-64 age group range, in the long run, between 10 and 40%, but starting from no-reform trends that are themselves very different from one scenario to the next. On the whole, after reforms, the long run labour force participation rate for the 60-64 group would lie within the 40%-50% bracket. This corresponds to mean ages at pension claiming lying between 64 and 65 years, and to mean ages at exit from the labour force fluctuating between 61 and 63 years, depending upon possible retroactions on career paths before full retirement. |
| Keywords: | pension reform, age at retirement, microsimulation, labour force projection |
| JEL: | C53 J22 J26 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:crs:wpdeee:g2011-08&r=cmp |
| By: | Emanuele Ciani; Marcello Morciano |
| Abstract: | This paper describes income distribution among workers in Italy using both the cross-sectional and panel component of IT-SILC. We highlight advantages and drawbacks of different econometric approaches, comparing standard OLS estimates with those obtained from Random Effects and Poisson Maximum Likelihood and assessing whether the results are sensitive to the different specification. Finally, we present the procedure in use in simulating future earnings in CAPP_DYN, the dynamic population-based microsimulation model of the CAPP. |
| Keywords: | Microsimulation, Earnings, Lifetime, Inequality, IT-SILC |
| JEL: | D31 J31 |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:mod:cappmo:0090&r=cmp |
| By: | A. Borodin; R. El-Yaniv; V. Gogan |
| Abstract: | A novel algorithm for actively trading stocks is presented. While traditional expert advice and "universal" algorithms (as well as standard technical trading heuristics) attempt to predict winners or trends, our approach relies on predictable statistical relations between all pairs of stocks in the market. Our empirical results on historical markets provide strong evidence that this type of technical trading can "beat the market" and moreover, can beat the best stock in the market. In doing so we utilize a new idea for smoothing critical parameters in the context of expert learning. |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1107.0036&r=cmp |
| By: | Kurmanalieva, Elvira; Vinokurov, Evgeny |
| Abstract: | The main purpose of this paper is to assess intra-regional trade within the CIS by looking at the impact of numerous trade agreements in the region. Applying a gravity model on a set of 162 countries, we attempt to assess dynamics of intra-regional trade of various trade agreements between 1995 and 2008 in order to identify trade creation and trade diversion effects. We propose and empirically test three explanations of the CIS intra-regional trade: 1) home bias effect, 2) holding together effect and 3) holdup effect. Finally, we perform a simulation of potential trade and see to what extent twelve post-Soviet states and all their groupings would, ceteris paribus, have traded with each other. |
| Keywords: | Soviet Union; CIS; EurAsEC; CES; Gravity equation; Trade potential; Panel data |
| JEL: | F15 F13 C23 O54 O52 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:32003&r=cmp |